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Use this balance sheet information to answer the following questions: Duration 1.5 yrs Balance Sheet (Amount in millions, Duration in years) Assets Amount Duration Liabilities
Use this balance sheet information to answer the following questions: Duration 1.5 yrs Balance Sheet (Amount in millions, Duration in years) Assets Amount Duration Liabilities Amount Cash 340 ? Core Deposits 350 Treasury Bills 120 0.25 yrs Euro CDs 495 Loans (hybrid) 500 1.75 yrs Debentures A 300 Loans (variable) 310 0.5 yrs Debentures B 275 Loans (fixed) 275 3.5 yrs Equity ? 1.0 yrs 3.0 yrs 5.0 yrs = = -0.01 would be a reasonable estimate of AR The ALCO committee believes that 1+R relevant interest rate movements. If the 90-day bank bill futures are quoted at 97.0 and there is no basis risk calculate the number of future contracts to macro-hedge the bank's balance sheet. Show all calculations and specifically state whether a short or long position is recommended
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